Interest Rates, Corporate Bonds, and Mortgage-Backed Securities
Free GARP FRM Part I lesson in Financial Markets and Products. 22 min read, ~3,352 words.
Compounding conversion:. Continuous and discrete give the same PV but different rate quotes. Duration: Macaulay (years), Modified = Mac / (1 + y/m) (percent-per-bp), Dollar = Modified × Price (dollars-per-bp).. Convexity: the second-order term improving the linear estimate,; positive for vanilla bonds, negative for callable bonds and MBS. Term structure...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
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